FAM-news

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reminder for upcoming seminars and talks
by Sandra Trenovatz 12 Nov '16

12 Nov '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 17.11.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Mladen Savov (Bulgarian Academy of Sciences, BG) "Bernestein-gamma functions and exponential functionals of Lévy processes" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 18.11.2016, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor 9:00 Mathias Beiglböck (TU Wien) http://file.statistik.tuwien.ac.at/beiglboeck/ "The Geometry of Model Uncertainty" (Research seminar - Statistics and Mathematics) 10:00 Ulrich Horst (HU Berlin) http://horst.qfl-berlin.de/ulrich-horst "Optimal Trade Execution with Stochastic Resilience in a Non-Markovian Framework" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Österreichische Nationalbank ------------------------------------------------------------------------ Fr., 18.11.2016, 11:00 OeNB-Geldzentrum, Garnisongasse 15, 1090 Vienna, 3rd floor Thomas Breuer (FH Vorarlberg) "Systematic Stress Tests under Model Risk" OENB Research seminar: https://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html ------------------------------------------------------------------------ Doctoral Program Dissipation and Dispersion in Nonlinear PDEs ------------------------------------------------------------------------ Workshop on Forefront of PDEs: Modelling, Analysis and Numerics Mon–Wed, December 12-14, 2016 TU Wien, Vienna, Austria Registration until Nov. 30, 2016. For further details (including preliminary schedule) see: http://viennapde.tuwien.ac.at/events/workshop1612.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 04 Nov '16

04 Nov '16

------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ We., 09.11.2016, 12:00, room SR D4.0.039 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Peter Gruber (University of Lugano, IT) http://www.people.usi.ch/gruberp/ "The Price of the Smile and Variance Risk Premia" (joint with Claudio Tebaldi and Fabio Trojani) (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/winter-term-2016… To find the room on the WU Campus search for "D4.0.039" on: http://gis.wu.ac.at/?roomShow=D4.0.039 ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 10.11.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Martin Larsson (ETH Zurich) "Conditional infimum and recovery of monotone processes" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 30 Oct '16

30 Oct '16

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reminder for upcoming seminars and talks
by Sandra Trenovatz 24 Oct '16

24 Oct '16

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Oct '16

17 Oct '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 20.10.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Friedrich Hubalek (TU Wien) https://tiss.tuwien.ac.at/person/40760 "A binomial order book model and its Brownian limit" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 21.10.2016, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Peter Bank (TU Berlin) http://page.math.tu-berlin.de/~bank/ "Hedging with Temporary Price Impact" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Österreichische Nationalbank ------------------------------------------------------------------------ Fr., 21.10.2016, 11:00, Veranstaltungssaal Österreichische Nationalbank, Otto-Wagner-Platz 3, 1090 Vienna Sven Seuken und Steffen Schuldenzucker University of Zurich https://www.ifi.uzh.ch/en/ce/people/seuken.html https://www.ifi.uzh.ch/en/ce/people/schuldenzucker.html "Clearing Payments in Financial Networks with Credit Default Swaps" OENB Research seminar: https://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 10 Oct '16

10 Oct '16

------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 11.10.2016, 16:30, Seminarraum BD 02 TU Wien, 1060 Wien, Getreidemarkt 9, Bauteil BD Hoftrakt, 2nd floor Yuliya Mishura (National University of Kyiv, Ukraine) http://probability.univ.kiev.ua/?page=userinfo&person=myus&lan=en "Asymptotic methods and approximations on financial markets with stochastic volatility" (Vortragsreihe in Finanz- und Versicherungsmathematik) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 13.10.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Torben Krüger (IST Austria) http://http://pub.ist.ac.at/~tkrueger/ "Local eigenvalue statistics for random matrices with general short range correlations" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 02 Oct '16

02 Oct '16

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reminder for upcoming seminars and talks
by Sandra Trenovatz 25 Sep '16

25 Sep '16

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Sep '16

11 Sep '16

-------------------------------------------------------------------- Announcement of Public PhD Thesis Defense -------------------------------------------------------------------- Mo., 12.09.2015, 11:30, Besprechungsraum 9. Stock, University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 9th floor Junjian Yang (University of Vienna) "Optimal Portfolios: Transaction Costs and Shadow Prices" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/temp/Yang.pdf --------------------------------------------------------------------

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reminder for upcoming events/conferences
by Sandra Trenovatz 22 Jul '16

22 Jul '16

Vienna is a beautiful city with a lot of attractions. We would like to draw your attention to some of them. ======================================================================== HFT 2016 ------------------------------------------------------------------------ High Frequency Trading - Curse or Blessing? September 22-23, 2016 University of Vienna, Austria http://hft2016.univie.ac.at/ Confirmed speakers: Torben G. Anderson (Northwestern University) Jean-Philippe Bouchaud (CFM, Paris) Jonathan Brogaard (University of Washington) Rama Cont (Imperial College London) Thierry Foucault (HEC Paris) Frank Hatheway (NASDAQ) Terrence Hendershott (UC Berkely) Andrei Kirilenko (Imperial College London) Pete Kyle (University of Maryland) Albert Menkveld (VU Amsterdam) Mark Podolskij (Aarhus University) Philip Protter (Columbia University) Chris Rogers (University of Cambridge) Mathieu Rosenbaum (University Paris 6) ======================================================================== SOfA 2016 ------------------------------------------------------------------------ Set-Optimization for Applications Third International Conference on Set-Valued Variational Analysis and Set Optimization with Applications in Economics, Finance, Statistics and Game Theory September 19-23, 2016 WU Wien, Vienna, Austria http://sofa2016.wu.ac.at/ Keynote speakers: Efe Ok, New York University, USA Matteo Rocca, University of Insubria, Italy ======================================================================== VCMF 2016 ------------------------------------------------------------------------ Vienna Congress on Mathematical Finance and VCMF Educational Workshop September 12-16, 2016 WU Wien, Vienna, Austria https://fam.tuwien.ac.at/vcmf2016/ Organized by: WU Wien - Vienna University of Economics and Business TU Wien - Vienna University of Technology University of Vienna Special thanks go to the sponsors of VCMF 2016: Gold Sponsors: Deloitte Erste Group Bank AG KPMG Austria Raiffeisen Bank International AG (RBI) Silver Sponsor: d-fine Austria GmbH Raiffeisen Capital Management (RCM) Plenary Speakers... ... at the Congress: Freddy Delbaen (ETH Zurich, CH) Hans Föllmer (Humboldt-Universität zu Berlin, DE) Peter Friz (Technische Universität Berlin, DE) Emmanuel Gobet (École Polytechnique, FR) Mathieu Rosenbaum (École Polytechnique & UPMC, FR) Josef Teichmann (ETH Zurich, CH) Almut Veraart (Imperial College London, UK) ... at the Educational Workshop: Nicole Bäuerle (Karlsruhe Institute of Technology, DE) Alexander McNeil (Heriot-Watt University, UK) Johannes Muhle-Karbe (University of Michigan, US) Peter Tankov (Université Paris-Diderot (Paris 7), FR) Invited Speakers at the Congress: Elisa Alos (Universitat Pompeu Fabra Barcelona, ES) Christian Bayer (WIAS, DE) Agostino Capponi (Columbia University, US) Patrick Cheridito (ETH Zurich, CH) Ulrich Horst (Humboldt-Universität zu Berlin, DE) Jan Kallsen (Christian-Albrechts-Universität zu Kiel, DE) Rüdiger Kiesel (Universität Duisburg-Essen, DE) Dörte Kreher (Humboldt-Universität zu Berlin, DE) Antonis Papapantoleon (TU Berlin, DE) Philipp Schönbucher (Financialytic GmbH, DE) Jorge P. Zubelli (IMPA, BR) On the first day of the congress there will be a panel discussion:: "Role of mathematical models in financial risk management and regulation (broadly defined)" Panellists are representatives from the regulators, the industry and the academic world: - Gabriela de Raaij Oesterreichische Nationalbank (OeNB) - Thomas Steiner Austrian Treasury (OeBFA) - Johann Strobl Raiffeisen Bank International AG (RBI) - Josef Teichmann Full Professor of Financial Mathematics, ETH Zürich Moderator: - Walter Schachermayer Senior fellow at the Institute for Theoretical Studies, ETH Zürich, Full Professor of Mathematics, University of Vienna For further details see the program: https://fam.tuwien.ac.at/vcmf2016/program.php Submission of Poster Presentations is still possible: https://fam.tuwien.ac.at/vcmf2016/registration.php ======================================================================== -- FAM-office: Sandra Trenovatz <fam(a)fam.tuwien.ac.at> Financial and Actuarial Mathematics (FAM), https://fam.tuwien.ac.at/ TU Wien, Wiedner Hauptstrasse 8/105-1, 1040 Vienna, Austria (DVR: 0005886)

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